That's a small part of it, I think. They've almost certainly spent a lot more on pouring time and effort into Linux than they ever would have saved on license fees. It seems like Valve doesn't want to be beholden to Microsoft in any way. They support Windows because that's where the users and the games are, but they don't want Microsoft to be able to rug-pull them either.
Except that they are, to the extent they depend on Microsoft technologies for the games that run on Proton.